How Do Monetary Policy Uncertainties Affect Stock Returns? The Case of Turkey

Year 2025, , 121 - 141, 04.01.2025

Fatih Ceylan

https://doi.org/10.17541/optimum.1573944

Abstract

With the increasing financial integration among countries, monetary policy decisions in advanced economies such as the US and Japan can be decisive for global financial markets. Monetary policy uncertainties in these countries can quickly spread to financial markets, especially in emerging economies. Therefore, this study investigates the interaction between various newspaper-based monetary policy uncertainty indices for the US and Japan prepared by Baker et al. (2016), Husted et al. (2020), Arbatlı et al. (2017) and Türkiye stock returns. The study, which uses the Quantile on Quantile Approach with monthly data for the period 2003-2024, tries to reveal the response of the stock market in different quantiles to different quantiles of monetary policy uncertainty indices, which have been frequently used in the literature recently. The findings show that the effect of different monetary policy uncertainty indices on Türkiye stock returns exhibits quantile-specific characteristics. Therefore, the impact of US and Japan-based monetary policy uncertainty on Türkiye stock returns is asymmetric and heterogeneous. These results are expected to provide some valuable implications for investors, portfolio managers and policy makers.

Keywords

Monetary Policy Uncertainty, Stock Returns, Türkiye

Ethical Statement

Bu çalışma bilimsel araştırma ve yayın etiği kurallarına uygun olarak hazırlanmıştır.

Para Politikaları Belirsizlikleri Hisse Senedi Getirilerini Nasıl Etkiliyor? Türkiye Örneği

Abstract

Ülkelerarası finansal entegrasyonun giderek artmasıyla birlikte ABD ve Japonya gibi gelişmiş ülkelerde para politikaları kararları küresel finans piyasalar için belirleyici olabilmektedir. Bu ülkelerdeki para politikaları belirsizlikleri özellikle gelişmekte olan ülkelerde finansal piyasalara hızlıca yayılabilmektedir. Bu nedenle bu çalışma Baker vd. (2016), Husted vd. (2020), Arbatlı vd . (2017) tarafından hazırlanan ABD ve Japonya için gazete bazlı çeşitli para politikası belirsizlik endeksleri ile Türkiye hisse senedi getirisi arasındaki etkileşimini araştırmaktadır. 2003-2024 dönem aralığında aylık veriler ile Kantil-Kantil yaklaşımı (Quantile on Quantile Approach) kullanılan çalışmada son dönemde literatürde sıklıkla kullanılan para politikası belirsizlik endekslerinin farklı kantillerdeki derecelerine farklı kantillerdeki hisse senedi piyasasının tepkisi ortaya konulmaya çalışılmıştır. Elde edilen bulgular farklı para politikası belirsizlik endekslerinin Türkiye hisse senedi getirilerine etkisinin kantillere özgü özellikler sergilediğini göstermektedir. Bu nedenle ABD ve Japonya merkezli para politikaları belirsizliklerinin Türkiye hisse senedi getirilerine etkisi asimetrik ve heterojendir. Bu sonuçların yatırımcılar, portföy yöneticileri ve politika yapıcılar için bazı değerli çıkarımlar yapmalarına imkan sağlayacağı düşünülmektedir.

Keywords

Para Politikası Belirsizliği, Hisse Senedi Getirileri, Türkiye

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